OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS

被引：17
|
作者：
Rao, B. L. S. Prakasa [1 ]
机构：
[1] CR Rao Adv Inst Math Stat & Comp Sci, Hyderabad 500046, Andhra Pradesh, India
来源：
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2015年 / 29卷 / 04期
关键词：
CURRENCY OPTIONS;
D O I：
10.1017/S0269964815000200
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
We propose a geometric mixed fractional Brownian motion model for the stock price process with possible jumps superimposed by an independent Poisson process. Option price of the European call option is computed for such a model. Some special cases are studied in detail.
引用
收藏
页码：589 / 596
页数：8
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